Risk-averse optimization of reward-based coherent risk measures.

Massimiliano Bonetti Lorenzo Bisi Marcello Restelli

Published in: Artif. Intell. (2023)

Keyphrases

risk measures
risk averse
stochastic programming
decision makers
utility function
multistage
robust optimization
reinforcement learning
portfolio management
optimization problems
linear program
optimization algorithm
expected utility
optimization method
decision making
portfolio optimization
supply chain